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In finance, a convertible bond, convertible note, or convertible debt (or a convertible debenture if it has a maturity of greater than 10 years) is a type of bond that the holder can convert into a specified number of shares of common stock in the issuing company or cash of equal value.
The HJM framework originates from the work of David Heath, Robert A. Jarrow, and Andrew Morton in the late 1980s, especially Bond pricing and the term structure of interest rates: a new methodology (1987) – working paper, Cornell University, and Bond pricing and the term structure of interest rates: a new methodology (1989) – working paper ...
See Convertible bond § Valuation, Contingent convertible bond. More generally, equity can be viewed as a call option on the firm: [ 45 ] where the value of the firm is less than the value of the outstanding debt shareholders would choose not to repay the firm's debt; they would choose to repay—and not to liquidate (i.e. exercise their option ...
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Duration is a linear measure of how the price of a bond changes in response to interest rate changes. It is approximately equal to the percentage change in price for a given change in yield, and may be thought of as the elasticity of the bond's price with respect to discount rates. For example, for small interest rate changes, the duration is ...
Henrard, Marc (2003). "Explicit Bond Option and Swaption Formula in Heath–Jarrow–Morton One Factor Model," International Journal of Theoretical and Applied Finance, 6(1), 57–72. Preprint SSRN. Henrard, Marc (2009). Efficient swaptions price in Hull–White one factor model, arXiv, 0901.1776v1. Preprint arXiv. Ostrovski, Vladimir (2013).
For example, for bond options [3] the underlying is a bond, but the source of uncertainty is the annualized interest rate (i.e. the short rate). Here, for each randomly generated yield curve we observe a different resultant bond price on the option's exercise date; this bond price is then the input for the determination of the option's payoff.
The value of a paper savings bond can be checked by using the savings bond calculator on the TreasuryDirect website and entering this ... Issue price. Total Interest. Value. $100. October 1994 ...